st: arima vs. regress

Dear Statalisters,
I imagine I am not the first to ask this, but I haven't been able to
find anything in the Statalist archives. Why do the following not
produce more or less similar coefficient estimates? In the data that I
am working with, the signs are even different.
arima y x, ar(1)
regress y x L.y
Many thanks,
Danielle
.................................................
Danielle H. Ferry, PhD
Associate Director
Capital Markets Research
212.553.7781 tel
danielle.ferry@moodys.com
Moody's Analytics
7 World Trade Center
250 Greenwich Street
New York, NY 10007
www.moodys.com
.................................................
-----------------------------------------
The information contained in this e-mail message, and any attachment thereto, is confidential and may not be disclosed without our express permission. If you are not the intended recipient or an employee or agent responsible for delivering this message to the intended recipient, you are hereby notified that you have received this message in error and that any review, dissemination, distribution or copying of this message, or any attachment thereto, in whole or in part, is strictly prohibited. If you have received this message in error, please immediately notify us by telephone, fax or e-mail and delete the message and all of its attachments. Thank you. Every effort is made to keep our network free from viruses. You should, however, review this e-mail message, as well as any attachment thereto, for viruses. We take no responsibility and have no liability for any computer virus which may be transferred via this e-mail message.
*
* For searches and help try:
* http://www.stata.com/help.cgi?search
* http://www.stata.com/support/statalist/faq
* http://www.ats.ucla.edu/stat/stata/